Translation:Strange! He does not want to eat pulla, although he is Finnish.
You are right, it sounds a bit wrong. "although" gives kind of a feeling of "but actually, it is no surprise, because..."
"Yet" could actually be better than "although", as "yet" makes the sentence even more wondering than before, just like the fact that they were from Finland was making it even more surprising that they did not like buns.
But I think "even though" would suit this one even better, being a more neutral-toned addition. Would fit better to what the original sentence sounds like, at least in my opinion.
It's weird I have to explain it.
Do you mind dialing back the sarcasm and entitlement a little?
As you've probably noticed, the hints are not just one to one translations of words such as in a dictionary (which wouldn't always be that helpful, since the structure of Finnish is so different from English). Often, there are combinations of words that are translated as other combinations of words. "Suomalainen" can be a noun, but also an adjective, in which case it would certainly match the "A Finnish" portion of the translation.